Micro rate futures

Discussion in 'Financial Futures' started by Real Money, Jul 12, 2021.

  1. Anlits


    I understand the micro treasury markets will begin on Sunday.

    Does anyone have any idea on who are offering these and any way of finding out info on the larger contracts currently traded , such as ranges, volume etc ?
    #11     Aug 10, 2021
  2. KevinBB


    Hello @Anlits
    Have a look at the CME Group web site (here). Hopefully the micros will mirror the existing full size contracts.
    #12     Aug 10, 2021
    Anlits likes this.
  3. Anlits


    Thanks KevinBB

    I thought that the micros would be based on the current CME existing suite of notes and bond but apart from the CME website have struggled to find out any more info.

    Thanks again for the reply.

    #13     Aug 10, 2021
  4. SunTrader


    Keep in mind these are futures priced by the yield (ATM 1.32%), not bond prices directly.

    So easy to think in terms of current rates, no need to convert bond price to yield or vice versa.
    #14     Aug 10, 2021
    Anlits likes this.
  5. SunTrader


    See my post#14.
    #15     Aug 10, 2021
    Anlits and KevinBB like this.
  6. Anlits


    Thanks for the reply.

    My system currently shows 30yr futures yield at 2.111 or 163-06 futures price.

    For example if the 30yr futures go from 163-06 to 163-16 will the micro yield go from selling 2.111 to 2.097 equivalent.

    The other micro contracts WTI and Nasdaq are tick for tick in line with the mini contracts, will the micro yield track the yield in the futures albeit at a different price just $1 a point ?
    #16     Aug 10, 2021
  7. SunTrader


    10 Year note (1.347% just now) is the one with all the volume, so I would expect same with yield future.

    But why concern yourself with conversion. Yield goes up go long, 10y yield goes down go short.
    #17     Aug 10, 2021
  8. Anlits


    I'm not bothered by the conversion and I understand the yield system, the question was how close will the new micro yield follow the yield of the large size futures, will it match it like WTI or the indexes micro to mini or not ?
    #18     Aug 10, 2021
  9. SunTrader


    Do you really think there is a possibility it won't?

    In related trading vehicles if there is any tiny variance at all it gets arbed away before most of us can even recognize it.
    #19     Aug 10, 2021
  10. Anlits


    Obviously I did think there was a possibility it wouldn't or I wouldn't have asked a question in a very easy to understand way, which somehow you managed to misinterpret.

    As it happens it appears there isn't anyone prepared to make anything tighter than a 6-8 tick spread. The arber you mentioned clearly didn't get the memo.

    Very disappointing launch, still waiting for a first trade in any of the maturities and it's been open for many hours now.
    #20     Aug 16, 2021